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Lasso and elastic-net regularized generalized linear models
Jerome Friedman, Trevor Hastie, Rob Tibshirani
Extremely efficient procedures for fitting the entire lasso or elastic-net regularization path for linear regression, logistic and multinomial regression models, poisson regression and the Cox model. Two recent additions are the multiresponse gaussian, and the grouped multinomial. The algorithm uses cyclical coordinate descent in a pathwise fashion, as described in the paper listed below.
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So I am a tremendous fan of Professors Hastie, Tibshirani, and Friedman. They have defined the field for a long time now... I am a big proponent of \ell_1 regularization as I tend to be...
Your rating: None Overall: 3.8 (144 votes)
Your rating: None Documentation: 3.3 (98 votes)